Winter sports can take a toll on your body if you're not properly warmed up. Make sure you take about 15- 20 minutes before your activity to get your muscles toasty!
Skating: Do several lunges on each side allowing your back knee to drop all the way to the floor with each stride. Make sure you're keeping your supporting knee at greater than a 90 degree angle.
Skiing: With your feet about shoulder width apart and your toes pointing straight forward, do several squats and make sure you wear layers.
Sledding: Bouncing over the snow can cause compression injuries so make sure you do some knee-to-shoulder stretches.
You can learn more in this article from the ACA.